28C00450 - Derivatives and Fixed Income, Lecture, 8.1.2025-19.2.2025

Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

By the end of the course students will be able to show detailed understanding of the derivatives markets, the instruments and the principles of risk management. The course reflects both theory and practice and it covers diverse areas such as equity, index, foreign currency, commodity and fixed income derivatives. The course also covers topics such as bond pricing, interest rate risk management and the term structure of interest rates.

Credits: 6

Schedule: 08.01.2025 - 19.02.2025

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Joni Kokkonen, Matti Suominen, Yuqi Zheng

Contact information for the course (applies in this implementation):

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

  • valid for whole curriculum period:

    Main topics are arbitrage, binomial models, Black & Scholes model, extensions to Black & Scholes model, interest rate derivatives, exotic options, and issues in risk management.

Assessment Methods and Criteria

  • valid for whole curriculum period:

    1. Lectures
    2. Exercises and cases  
    3. Written examination . The examination will be based on the lectures, handouts and the course literature.

Workload

  • valid for whole curriculum period:

    Classroom hours  
    Exercise hours  
    Class preparation  
    Exercise preparation  
    Exam preparation  
    Exam 

DETAILS

Study Material

  • valid for whole curriculum period:

    Recommended text for fixed income part: Handbook of Fixed Income Securities by Pietro Veronesi
    Recommended text for the derivatives part: Options, Futures, and Other Derivatives by John C. Hull

    Other material distributed by the lecturer.

Substitutes for Courses
Prerequisites

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    Teaching Language: English

    Teaching Period: 2024-2025 Spring III
    2025-2026 Spring III

    Registration:

    The course is mandatory for BIZ finance major students. Optional course offered in Minor in finance.

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Aalto University Code of Academic Integrity and Handling Violations Thereof